Discrete eigenvalue optimization from entropic smoothing and first-order methods

Abstract

We study the maximization of the minimum eigenvalue under combinatorial and integrality constraints. We propose a new approach based on branch-and-bound combines entropic smoothing of the minimum eigenvalue function and Frank-Wolfe methods over concave relaxations of the constraints, thereby exploiting combinatorial structure through linear optimization oracles. We establish approximation and convergence guarantees, including for truncated gradients computed from partial eigendecompositions, and introduce rank- and eigenvalue-based pruning and duality-based variable fixing. We evaluate the method on E-optimal experimental design and maximum algebraic connectivity problems and compare it with SCIP-SDP. The results show that our approach is particularly effective for large-dimensional instances and problems with additional combinatorial structure, whereas SCIP-SDP performs better on moderately sized instances with simpler constraints.